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  1. Uncertainty premia, sovereign default risk, and state-contingent debt
    Author: Roch, Francisco; Roldán, Francisco
    Published: March 2021
    Publisher:  International Monetary Fund, [Washington, DC]

    We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model a la Eaton and Gersovitz (1981). We show that for the... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model a la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond structure (e.g., the GDP-linked bond issued by Argentina in 2005), the model with robustness generates ambiguity premia in bond spreads that can explain most of what the literature has labeled as novelty premium. While the government would be better off with this bond when facing rational expectations lenders, this additional source of premia leads to welfare losses when facing robust lenders. Finally, we characterize the optimal design of the state-contingent bond and show how it varies with the level of robustness. Our findings rationalize the little use of these instruments in practice and shed light on their optimal design

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513572635
    Other identifier:
    Series: IMF working paper ; WP/21, 76
    Subjects: Sovereign debt; default; state-contingent debt instruments; robust control; ambiguity premia; Ambiguity Premia; Default; Robust Control; Sovereign Debt; State-Contingent Debt Instruments
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  2. Uncertainty premia, sovereign default risk, and state-contingent debt
    Author: Roch, Francisco; Roldán, Francisco
    Published: March 2021
    Publisher:  International Monetary Fund, [Washington, DC]

    We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model a la Eaton and Gersovitz (1981). We show that for the... more

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    We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model a la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond structure (e.g., the GDP-linked bond issued by Argentina in 2005), the model with robustness generates ambiguity premia in bond spreads that can explain most of what the literature has labeled as novelty premium. While the government would be better off with this bond when facing rational expectations lenders, this additional source of premia leads to welfare losses when facing robust lenders. Finally, we characterize the optimal design of the state-contingent bond and show how it varies with the level of robustness. Our findings rationalize the little use of these instruments in practice and shed light on their optimal design

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513572635
    Other identifier:
    Series: IMF working paper ; WP/21, 76
    Subjects: Sovereign debt; default; state-contingent debt instruments; robust control; ambiguity premia; Ambiguity Premia; Default; Robust Control; Sovereign Debt; State-Contingent Debt Instruments
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen